Mean-Field Backward Stochastic Differential Equations Driven by Fractional Brownian Motion

被引：0

作者：

Yu Feng SHI ^{[1
]}

Jia Qiang WEN ^{[2
]}

Jie XIONG ^{[3
]}

机构：

[1] Institute for Financial Studies and School of Mathematics, Shandong University

[2] Department of Mathematics, Southern University of Science and Technology

[3] Department of Mathematics and SUSTech International Center for Mathematics,Southern University of Science and Technology

来源：

Acta Mathematica Sinica,English Series | 2021年 / 07期

基金：

中国国家自然科学基金; 中国博士后科学基金; 国家重点研发计划;

关键词：

Mean-field backward stochastic differential equation; fractional Brownian motion; partial differential equation;

D O I：

暂无

中图分类号：

O211.63 [随机微分方程];

学科分类号：

摘要：

In this paper, we study a new class of equations called mean-field backward stochastic differential equations(BSDEs, for short) driven by fractional Brownian motion with Hurst parameter H > 1/2. First, the existence and uniqueness of this class of BSDEs are obtained. Second, a comparison theorem of the solutions is established. Third, as an application, we connect this class of BSDEs with a nonlocal partial differential equation(PDE, for short), and derive a relationship between the fractional mean-field BSDEs and PDEs.

引用

页码：1156 / 1170

页数：15

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